Please note: Data values previously published are subject to revision. For more information, refer to the vintage series in ALFRED®.
ST. LOUIS – Financial market stress declined slightly last week, according to the St. Louis Fed Financial Stress Index (STLFSI). For the week ending March 20, 2015, the STLFSI measured -1.027, down from the prior week’s revised value of -1.012.
Over the past week, 11 of the 18 indicators contributed negatively to the change in the STLFSI, four more than the previous week. The largest negative contribution came from the Chicago Board Options Exchange Market Volatility Index (VIX), followed by the yield on corporate Baa-rated bonds (BAA). Five of the 18 indicators contributed positively to the weekly change, three fewer than the previous week. The largest positive contribution was made by the yield spread between the Merrill Lynch High-Yield Corporate Master II Index and the 10-year U.S. Treasury security (HighYield_CRS).
Over the past year, 10 of the 18 indicators made a positive contribution to the index, one fewer than the previous week. Eight indicators made a negative contribution, one more than the previous week. Over the past year, the largest positive contribution was made by the 10-year nominal Treasury yield minus the 10-year Treasury Inflation Protected Security yield (BIR_10yr). The largest negative contribution was made by the BAA. The STLFSI has been below zero (representing lower-than-average levels of financial stress) for 173 consecutive weeks. (Zero represents average levels of financial stress.)
For an explanation of the 18 component variables in the STLFSI, refer to the STLFSI Key.
The STLFSI measures the degree of financial stress in the markets and is constructed from 18 weekly data series: seven interest rate series, six yield spreads and five other indicators. Each of these variables captures some aspect of financial stress. Accordingly, as the level of financial stress in the economy changes, the data series are likely to move together.
How to interpret the index
The average value of the index, which begins in late 1993, is designed to be zero. Thus, zero is viewed as representing normal financial market conditions. Values below zero suggest below-average financial market stress, while values above zero suggest above-average financial market stress.
Note that the bar charts plot the change in the contribution from one week to the next or from the current week compared to the value 52 weeks earlier.
FRED (Federal Reserve Economic Data) is the main economic database of the Federal Reserve Bank of St. Louis.